Models with Immunity ignore the effects of the rule(s) in the brackets. Note that the model only ignores the effects of the rule itself unless the attack is also listed as being non-physical. The physical attack still causes damage as normal.
Immunity can also include Panic, Fear and Terror. If the majority of the models in a unit have the Immunity (Panic, Fear or Terror) rule, the unit ignores the effects of Panic, Fear or Terror and any such tests it would otherwise had to take.
Models that are Immune to all three above effects have Immunity (Psychology). This also includes automatically passing any Psychology tests they might need to take (such as many spell effects or special rules that would otherwise force a unit to take a Psychology
test).